Short selling and intraday volatility: evidence from the Chinese market

The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing o...

Descripción completa

Detalles Bibliográficos
Autores principales: Zhang, Yongjie, Liu, Keming, Shen, Dehua, Zhang, Wei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2015
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4688298/
https://www.ncbi.nlm.nih.gov/pubmed/26702386
http://dx.doi.org/10.1186/s40064-015-1591-5
_version_ 1782406712749195264
author Zhang, Yongjie
Liu, Keming
Shen, Dehua
Zhang, Wei
author_facet Zhang, Yongjie
Liu, Keming
Shen, Dehua
Zhang, Wei
author_sort Zhang, Yongjie
collection PubMed
description The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.
format Online
Article
Text
id pubmed-4688298
institution National Center for Biotechnology Information
language English
publishDate 2015
publisher Springer International Publishing
record_format MEDLINE/PubMed
spelling pubmed-46882982015-12-23 Short selling and intraday volatility: evidence from the Chinese market Zhang, Yongjie Liu, Keming Shen, Dehua Zhang, Wei Springerplus Research The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results. Springer International Publishing 2015-12-22 /pmc/articles/PMC4688298/ /pubmed/26702386 http://dx.doi.org/10.1186/s40064-015-1591-5 Text en © Zhang et al. 2015 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Zhang, Yongjie
Liu, Keming
Shen, Dehua
Zhang, Wei
Short selling and intraday volatility: evidence from the Chinese market
title Short selling and intraday volatility: evidence from the Chinese market
title_full Short selling and intraday volatility: evidence from the Chinese market
title_fullStr Short selling and intraday volatility: evidence from the Chinese market
title_full_unstemmed Short selling and intraday volatility: evidence from the Chinese market
title_short Short selling and intraday volatility: evidence from the Chinese market
title_sort short selling and intraday volatility: evidence from the chinese market
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4688298/
https://www.ncbi.nlm.nih.gov/pubmed/26702386
http://dx.doi.org/10.1186/s40064-015-1591-5
work_keys_str_mv AT zhangyongjie shortsellingandintradayvolatilityevidencefromthechinesemarket
AT liukeming shortsellingandintradayvolatilityevidencefromthechinesemarket
AT shendehua shortsellingandintradayvolatilityevidencefromthechinesemarket
AT zhangwei shortsellingandintradayvolatilityevidencefromthechinesemarket

Ejemplares similares